Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0080
Annualized Std Dev 0.2346
Annualized Sharpe (Rf=0%) 0.0340

Row

Daily Return Statistics

Close
Observations 3266.0000
NAs 1.0000
Minimum -0.1113
Quartile 1 -0.0057
Median 0.0007
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0068
Maximum 0.1511
SE Mean 0.0003
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0148
Skewness -0.2349
Kurtosis 12.4432

Downside Risk

Close
Semi Deviation 0.0108
Gain Deviation 0.0106
Loss Deviation 0.0121
Downside Deviation (MAR=210%) 0.0153
Downside Deviation (Rf=0%) 0.0107
Downside Deviation (0%) 0.0107
Maximum Drawdown 0.6059
Historical VaR (95%) -0.0213
Historical ES (95%) -0.0369
Modified VaR (95%) -0.0214
Modified ES (95%) -0.0299
From Trough To Depth Length To Trough Recovery
2008-05-20 2009-03-09 2021-02-11 -0.6059 3206 202 3004
2021-02-17 2021-03-08 NA -0.0496 24 14 NA
2008-04-08 2008-04-14 2008-04-16 -0.0298 7 5 2
2008-04-29 2008-04-29 2008-05-05 -0.0174 5 1 4
2008-05-07 2008-05-07 2008-05-15 -0.0158 7 1 6

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA 2.1 -1.1 0.2 -1.2 -1.3 -0.1 -0.6 0.8 -7.3 1.2 -7.2
2009 -1.3 -0.4 2.9 1.1 2.7 1.6 1.2 -2.2 -3.1 -3.5 2.9 -0.4 1.1
2010 2 1.2 1.8 -1.5 -1.2 1 0.1 3.6 1 -0.2 2.8 0.5 11.4
2011 2.4 -1.4 1 0.5 -2.2 1 -0.7 -0.6 -3.4 -3.4 -0.3 0.5 -6.4
2012 1.6 1.1 0.7 0.4 -2.5 3.6 -0.1 0.9 1 1.2 0 1.2 9.3
2013 1 0.1 -1 -0.7 -2 0.7 1.4 -0.6 0.8 -0.5 0.3 0.5 -0.2
2014 -1.2 0.1 0.7 0 -0.3 0.9 -0.4 0 -1.3 1.5 -0.4 -0.5 -0.9
2015 -1.6 0 0.8 0.8 -0.4 0.6 0.6 -3.4 0.3 -0.2 1.1 -0.9 -2.2
2016 -0.3 2.9 -0.8 -0.3 0 0.3 -0.6 0.7 0.7 -0.4 -0.5 0 1.7
2017 0.4 1.3 -0.4 0.4 1.1 0.2 0.5 0.4 0.7 0.3 -0.2 0.1 4.8
2018 0 -1.1 1 -0.3 0.7 0.9 -0.5 -0.5 0.3 1.8 -0.4 0.2 2.1
2019 -0.2 0.5 1.3 -0.6 -0.5 0.7 -0.9 0.5 -0.8 1.1 -0.8 0.4 0.7
2020 -1.6 -0.6 -4.8 -2.5 2.2 0.6 -1.7 0.7 0.8 -0.6 2 -0.5 -6.1
2021 1.7 2.3 0.5 NA NA NA NA NA NA NA NA NA 4.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2008-03-31  50.3 SPY    132.  0.0035  -0.0204  -0.0358  -0.106   -0.0704    0.132    0.514 GLD    90.4 -0.016     0.0034
2 2008-04-01  51.4 SPY    137.  0.0352   0.0131   0.0208  -0.0726  -0.038     0.156    0.576 GLD    86.9 -0.0393   -0.0633
3 2008-04-02  51.9 SPY    137.  0.0007   0.0263   0.024   -0.065   -0.0384    0.159    0.613 GLD    89.3  0.0277   -0.0483
4 2008-04-03  52.3 SPY    137.  0.0025   0.0321   0.0305  -0.0544  -0.0463    0.167    0.593 GLD    89.4  0.0017   -0.0432
5 2008-04-04  52.4 SPY    137. -0.0011   0.0409   0.0229  -0.055   -0.0484    0.164    0.553 GLD    90.2  0.00930  -0.0177
6 2008-04-07  52.7 SPY    137.  0.0005   0.0378   0.045   -0.0308  -0.0505    0.159    0.562 GLD    91.2  0.0102    0.0084
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart